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Strategies / Breakout / Bollinger Breakout With RSI Filter

Bollinger Breakout With RSI Filter

It buys when the close breaks above the upper Bollinger Band with RSI above 50 while the 200-period SMA is not falling, and sells short on the mirror-image break below the lower band. Trades use a 0.5 percent stop and 1.0 percent target.

BreakoutLong & shortIntradayUSD/JPY30 min
n/aProfit factor
433,570Net profit USD
31.18%Win rate
3,204Trades
-211,170Max drawdown
135Avg trade

Best run of 8. USD/JPY, 30 min, spread 1, from run sweeps:2026-10-04-USDJPY-30m-opt.tsv:79.

Entry rules, long

  2. RSI[14] is above 50 and the 200-bar SMA is not falling
  3. Buys 1 contract at market when no long position is open, with a 0.5 percent stop and 1.0 percent target

Entry rules, short

  2. RSI[14] is below 50 and the 200-bar SMA is falling
  3. Sells 1 contract short at market when no short position is open, with a 0.5 percent stop and 1.0 percent target

Exit rules

  2. The 200-bar SMA turns up while a short is open, closing the short at market
  3. A qualifying opposite signal reverses the position
  4. The 0.5 percent stop or 1.0 percent target closes the trade

Test conditions

PeriodUp to 2026-10-04
InstrumentUSD/JPY, 30 minutes
Spread1 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run30 minn/a 3,20431.18433,570 USD-211,170
USD/JPY1 hourn/a 2,97233.34543,830 USD-254,160
USD/JPY4 hoursn/a 1,11634.68299,860 USD-251,060
USD/JPY15 minn/a 2,66628.47254,200 USD-242,650
EUR/USD4 hoursn/a 1,35534.9849,765 USD-22,048
EUR/USDDailyn/a 64735.7023,414 USD-11,360
GBP/USD4 hoursn/a 1,32934.314,521 USD-2,517
Gold4 hoursn/a 1,44333.47571 EUR-249

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Breakout With RSI Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
dev = 2.0 * STD[20](close)
upper = basis + dev
lower = basis - dev
myRsi = RSI[14](close)
sma = Average[200](close)

28 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

Bollinger BandsRSISMA
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Bollinger Breakout With RSI Filter in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 8 market and timeframe combinations. The best run by trade count was USD/JPY, 30 minutes, with 3,204 trades.

How large was the drawdown?

The best run had a maximum drawdown of 211,170 USD at the tested position size, against a net result of 433,570 USD.

Does it trade long, short or both?

It trades both long and short.

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs